Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Fujiyama Ltd.

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Fujiyama Ltd. – At a glance:

  • Issuer: Fujiyama Ltd.
  • Cedent / sponsor: Nissay Dowa General Insurance Co.
  • Placement / structuring agent/s: Swiss Re Capital Markets Corp. acted as sole manager for the transaction.
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: Japan earthquake
  • Size: $70m
  • Trigger type: Parametric
  • Ratings: S&P: 'BB+'
  • Date of issue: May 2002

Fujiyama Ltd. – Full details:

This three-year $70 million transaction covers potential losses from earthquakes in Japan. RMS worked with Nissay Dowa and Swiss Re to create a parametric structure in which losses to the bond are directly linked to earthquake event parameters published by the Japan Meteorological Agency (JMA).

The parametric ‘box’ structure fits Nissay Dowa’s exposure and covers seismic sources giving rise to earthquake events affecting exposure in CRESTA zone 5 (Tokyo, Chiba, and Kawasaki) as well as the neighboring prefectures to the southwest, Shizuoka and Yamanashi. Ninety-seven percent of the issue’s volume is made up by variable rate notes, which are exposed to trigger events in two boxes covering zone 5 as well as to large events (M>=8.1) inside a third box covering Yamanashi and Shizuoka on a second event basis.

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